Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
Quality of replicating portfolio is used to measure performance of a model
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
The market is gravitating to the Bachelier model as an alternative to Black 76
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration